CONCLUSION, IMPLICATION, LIMITATION, AND SUGGESTION IMPACT OF FLOOD IN JAKARTA AND HAIYAN TYPHOON IN PHILIPPINES TOWARD INDONESIA STOCK EXCHANGE AND THE PHILIPPINE STOCK EXCHANGE 2013.

CHAPTER V
CONCLUSION, IMPLICATION, LIMITATION, AND SUGGESTION

5.1.

Conclusion
As a big city in Indonesia, Jakarta is playing important role as a city which

has 240 million populations and also as a place of political and economic center of
Indonesia. All of business activity was done in Jakarta; especially Jakarta is the
location of Indonesia Stock Exchange which is nowadays shows good movement to
further influence on global markets. But, Jakarta is the one of city in Indonesia that
usually experienced big flood in every five years. Because of this disaster, it can
cause the high loss for big companies and also it can influence the return of stock
price in Indonesia Stock Exchange.
As a developing country in South East Asia, Philippines is the one of country
which shows its good movement. Especially, The Philippine Stock Exchange has
integral role in Philippines economy. But, unfortunately, last November 2013 was the
bad day for Philippines because they were experienced Haiyan Typhoon. Haiyan
Typhoon was attack most of side in Philippines and also killed many people. Because
of it, several big companies experienced high loss and also gave impact to the

Philippine Stock Exchange.
Some previous research also found that there were any findings about positive
abnormal return and negative abnormal return. It was also the same as Indonesia and
Philippines on the event period of Flood and Haiyan Typhoon. Other research also

61

62

tried to evaluate the difference Average Abnormal Return between before and after
event that was happen in certain country, so, most of all research will used the event
study to know the impact towards the stock market.
In this research, there was some evidence which is found that there were any
negative and positive abnormal return in Indonesia and Philippines based on the event
period. After make some hypotheses testing, this finding can answered two problem
statements. For the first hypothesis, the hypothesis is not supported because the
findings of the research is no significant different average abnormal return between
before event day and after event day of flood in Jakarta toward Indonesia Stock
Exchange. Meanwhile, for second hypothesis, the hypothesis also not supported
because the findings of the research is no significant different average abnormal

return between before event day and after event day of Haiyan Typhoon toward the
Philippine Stock Exchange.

5.2.

Managerial Implication
As mention is Chapter I, the result of this research will give more benefit to:

a

For Readers
Readers can know about the impact of natural disaster to the stock return
activity, which is this event will give impact or not by see the result of the
difference of Average Abnormal Return between before and after event
period.

63

b

For Investor
Investor can make some expectation and decision for future investment in
stock market based on result of this research. For example, if natural disaster
like this event will give positive or negative average abnormal return and
whether the natural disaster will give different impact on before and after
event.

c. For Academic
This research will give more deeply understanding in order to analyze several
events and its impact to stock price return, especially for academic objectives.
For further, researcher hopes future research will be conducted give more
benefits to academic activity.

5.3.

Research Limitation and Suggestion for Further Research

5.3.1. Research Limitation
Number of data sample which researcher used just LQ45 and PSE30 because
if researcher used all of companies listed in LQ45 and PSE30, researcher will found

the difficulties in order to collect the data. It will be difficult because not all of data is
providing in www.finance.yahoo.com, www.wsj.com and other possible source. In
other hands, researcher also has some limited time to do this research if researcher
using all of data which is listed in Indonesia Stock Exchange and the Philippine Stock
Exchange.

64

Other limitation, in this thesis, the researcher will assume two kinds of
condition. First, those two natural disaster; Flood and Haiyan Typhoon will be the
same. Second, the impact also will be the same for citizen in both of countries
although for further it will be different since in the different kinds of natural disaster;
flood in Jakarta that can be classified as a not really pure natural disaster, and Haiyan
Typhoon in Philippines that can be classified as a pure natural disaster. Pure natural
disaster means that many people cannot predict the time when it will come. In other
hands, not really pure natural disaster means that many people can predict the time
when it will come.

5.3.2. Suggestion for Further Research
For further research, the researcher suggests that other researcher can use

companies based on the sectors and add more time period in order to know more in
deeply understanding about the result findings. Besides that, other researcher can add
more country which has same kind of natural disaster or other event which can give
possible impact toward stock exchange.

65

BIBLIOGRAPHY
Aceh

Traffic.
(2013).
“Sejarah
Banjir
Jakarta,”
accessed
from
http://www.acehtraffic.com/2013/01/sejarah-banjir-jakarta.html?m=1, March
6, 2014.

Aktas and Oncu. (2006). “The Stock Market Reaction to Extreme Events: the
Evidence from Turkey”, International Research Journal of Finance and
Economics, vol. 6.
Alam, Abdullah. (2013). “Terrorism and Stock Market Development: Causality
evidence from Pakistan”, Journal of Financial Crime Vol. 20 No.1.
Bisara, Dion and Hotman Siregar. (2013). “Jakarta Suffering Huge Economic Losses
Due
to
Floods:
Kadin”,
accessed
from
http://www.thejakartaglobe.com/archive/jakarta-suffering-huge-economiclosses-due-to-floods-kadin/, March 6, 2014.
Bodie, Kane, and Marcus. (2004). “Essentials of Investment”. Singapore: McGrawHill International.
Bolak and Süer. (2008). “The Effect of Marmara Earthquake on Financial
Institution”. Journal of Doğuş Üniversitesi Dergisi, 9 (2) 2008, 135-145.
Boswaro, Ery. (2013). “The Flooding city of Jakarta”, accessed from
http://www.gfdrr.org/sites/gfdrr.org/files/%28SESSION_2%29_Ery_Boswaro
_%28Indonesia%29_BPBD_DKI_JAKARTA.pdf, March 6, 2014.
Brahmana, Elizabeth Gloria. (2013). “Indonesian Stock Market Boasts Huge Growth

Potential:
Director”,
accesed
from
http://www.thejakartaglobe.com/business/indonesian-stock-market-boastshuge-growth-potential-director/#.UxvFiptCofM, March 9, 2014.
Chen, Bin, Chen. (2005). “The Impacts of Political Events on Foreign Institutional
Investors and Stock Returns: Emerging Market Evidence from Taiwan”,
International Journal of Business, 10(2).
CNN Staff. (2013). “Typhoon Haiyan Death Toll Tops 6,000 in the Philippines,”
accessed from http://edition.cnn.com/2013/12/13/world/asia/philippinestyphoon-haiyan/, March 6, 2014.
Economist. (2013). ”One of the Strongest Storm Ever Recoded Has Devastated Parts
of the Philippines, and Relief is Slow to Arrive”, accessed from

66

http://www.economist.com/news/asia/21589916-one-strongest-storms-everrecorded-has-devastated-parts-philippines-and-relief, March 6, 2014.
Gitman and Joehnk. (2009). “Fundamentals of Investing”, USA: Pearson Education.
Goodyear, Sarah. (2013). “Flooding in Jakarta: A City Swamped by Its Own
Success”,
accessed

from
http://www.theatlanticcities.com/jobs-andeconomy/2013/01/flooding-jakarta-city-swamped-its-own-success/4426/,
March 6, 2014.
Hermawan. (2013). “Prediksi Banjir Wilayah DKI Jakarta Bulan Januari dan
Februari 2013”, accessed from http://uniqpost.com/57945/prediksi-banjirwilayah-dki-jakarta-bulan-januari-dan-februari-2013/, May 29,2014.
Holliday, Katie. (2013). “Typhoon Haiyan: Will it Derail Philippines’ Economy?”,
accessed from http://www.nbcnews.com/business/economy/typhoon-haiyanwill-it-derail-philippines-economy-f2D11577218, March 11, 2014.
Huang, Ho, Wu. (2007). “The Impact of the Asian Tsunami Attacks on TourismRelated Industry Stock Returns”, Journal of American Academy of Business,
Cambridge.
Jakarta Globe. (2014). “Jakarta Flooded Again After Night of Heavy Rain,” accessed
from
http://www.thejakartaglobe.com/news/jakarta/jakarta-flooded-againafter-night-of-heavy-rain/, March 6, 2014.
Jones, Charles P. (2010). “Investments Principles and Concepts”. Eleventh Edition,
Asia: John Wiley & Sons (Asia) Pte Ltd.
Kim, Hyunjoon and Zheng Gu. (2004). “Impact of the 9/11 terrorist attack on the
return and risk of airline stocks”, Tourism and Hospitality Research p. 150.
Lampost. (2013). “Kerugian Industri Akibat Banjir Jakarta Capai Rp 1 Trilliun”,
accessed from http://lampost.co/berita/kerugian-industri-akibat-banjir-jakartacapai-rp1-triliun, March 6, 2014.
Liaw. (2004). “Capital Markets”, USA: Thompson.
McClave, Benson, and Sincich. (2011). “Statistics for Business and Economics”,

Eleventh Edition, USA: Pearson Education, Inc.

67

McMillan, Pinto, Pirie, and Venter. (2011). “Investment: Principles of Portfolio and
Equity Analysis”, USA: John Wiley & Sons, Inc.,
Milenin, Grigory. (2013). “Typhoon Haiyan was impossible to predict-experts”,
accessed from http://voiceofrussia.com/2013_11_11/Typhoon-Haiyan-wasimpossible-to-predict-experts-6670/, May 29, 2014.
Reilly and Brown. (2005). “Investment Analysis and Portfolio Management”,
Canada: South-Western, Nelson Education, Ltd.
Reuters.
(2013).
“Indonesia
Floods”,
accessed
http://www.reuters.com/article/2013/01/17/us-indonesia-floodsidUSBRE90G05Q20130117, March 6, 2014.

from

RH, Priyambodo. (2012). “5-year Cycle of Big Floods Feared to Hit Jakarta in

2013,” accessed from http://www.antaranews.com/en/news/86351/5-yearcycle-of-big-floods-feared-to-hit-jakarta-in-2013, March 6, 2014.
Ross, Westerfield, and Jaffe. (2010). “Corporate Finance”, Ninth Edition, Singapore:
McGraw-Hill/Irwin.
Tampubolon, Hans David. (2013). “Officials Fret Over Inflation, Severe Business
Impact
of
Flood
Crisis”,
accessed
from
http://www.thejakartapost.com/news/2013/01/18/officials-fret-over-inflationsevere-business-impact-flood-crisis.html, March 6, 2013.
Sekaran, U. and Bougie, Roger. (2010). “Research Methodology for Business”, West
Sussex: John Willey & Sons Ltd,.
Sharpe, Alexander, and Bailey. (1995). “Investment”, New Jersey: Prentice Hall, Inc.
Wibowo, Rahayu, and Hamzah. (2013). “Menghitung Kerugian Akibat Banjir
Bandang
di
Jakarta”,
accessed
from

http://m.news.viva.co.id/news/read/383471-menghitung-kerugian-akibatbanjir-bandang-di-jakarta, March 11, 2014.
Wikipilipinas. (2012). “Philippine Stock Exhchange”, accessed from
http://en.wikipilipinas.org/index.php?title=Philippine_Stock_Exchange,
March 9, 2014.

68

APPENDIX A-1
Regression of Companies Listed in LQ45
AALI
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00078296 0,000665377 -1,177 0,23969 -0,0021 0,00052 -0,00209 0,00052332
Rm
1,082244102 0,054309609 19,93
7E-71 0,97562 1,18887 0,975622 1,18886576
ADRO
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,0009752 0,000710941 -1,372 0,17058 -0,0024 0,00042 -0,00237 0,00042053
Rm
1,395218723 0,057993708 24,06 1,4E-94 1,28136 1,50907 1,281364 1,50907333
AKRA
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,001131244 0,00074636 1,516 0,13003 -0,0003 0,0026 -0,00033 0,00259651
Rm
0,992194344 0,060919641 16,29 4,2E-51 0,8726 1,11179 0,872596 1,11179294
ANTM
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00131456 0,00061606 -2,134 0,03319 -0,0025 -0,0001 -0,00252 -0,0001051
Rm
1,185255038 0,050284228 23,57 8,7E-92 1,08654 1,28397 1,086536 1,28397399
ASII
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000190262 0,000503433 0,378 0,70559 -0,0008 0,00118
-0,0008 0,00117861
Rm
1,29777615 0,04109139 31,58 1E-138 1,2171 1,37845 1,217105 1,37844754
BBCA
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000284473 0,00052364 0,543 0,58712 -0,0007 0,00131 -0,00074 0,00131249
Rm
1,083534113 0,04274069 25,35 3E-102 0,99962 1,16744 0,999625 1,16744344
BBNI
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000230407 0,000589173 0,391 0,69586 -0,0009 0,00139 -0,00093 0,00138708
Rm
1,13475828 0,04808966 23,6 6,2E-92 1,04035 1,22917 1,040348 1,22916881
BBRI
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000163685 0,000543168 0,301 0,76323 -0,0009 0,00123
-0,0009 0,00123004
Rm
1,346940914 0,044334584 30,38 1E-131 1,2599 1,43398 1,259902 1,43397941
BDMN

Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -5,4889E-05 0,000905323 -0,061 0,95167 -0,0018 0,00172 -0,00183 0,00172246
Rm
1,003264827 0,073935924 13,57 1,4E-37 0,85811 1,14842 0,858112 1,14841723
BHIT
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,001513769 0,001844382 0,821 0,41206 -0,0021 0,00513 -0,00211 0,0051347
Rm
1,354265885 0,150542732 8,996
2E-18 1,05872 1,64981 1,058718 1,64981423
BJBR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00022998 0,000790367 -0,291 0,77116 -0,0018 0,00132 -0,00178 0,0013221
Rm
1,349210567 0,068086604 19,82
3E-68 1,21551 1,48292 1,215506 1,48291554
BKSL
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,001042281 0,001190189 0,876 0,38147 -0,0013 0,00338 -0,00129 0,00337888
Rm
1,340185842 0,097145997 13,8 1,2E-38 1,14947 1,5309 1,149467 1,5309047
BMRI
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 5,83581E-05 0,000537877 0,108 0,91363
-0,001 0,00111
-0,001 0,00111433
Rm
1,404639968 0,043902724 31,99 5E-141 1,31845 1,49083 1,318449 1,49083063
BORN
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00201539
0,0010189 -1,978 0,04844
-0,004 -1E-05 -0,00402 -1,384E-05
Rm
1,463143013 0,085687792 17,08 1,8E-52 1,29482 1,63147 1,294817 1,63146951
BSDE
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00014374 0,000957925 0,15 0,88076 -0,0017 0,00202 -0,00174 0,00202436
Rm
1,242972503 0,078188058 15,9 4,4E-49 1,08947 1,39647 1,089472 1,39647278
BUMI
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00261688 0,001091955 -2,397 0,0168 -0,0048 -0,0005 -0,00476 -0,0004731
Rm
1,613544698 0,08911676 18,11 8,4E-61 1,43859 1,7885 1,438589 1,78850041
BWPT
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000772703 0,00085413 0,905 0,36594 -0,0009 0,00245
-0,0009 0,00244955
Rm
0,792212133 0,069680614 11,37 1,1E-27 0,65541 0,92901 0,655414 0,92901043

CPIN
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,002212966 0,000902564 2,452 0,01444 0,00044 0,00398 0,000441 0,0039849
Rm
1,477130508 0,073669318 20,05 1,4E-71 1,3325 1,62176 1,332502 1,62175951
ELTY
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00284558 0,001031921 -2,758 0,00597 -0,0049 -0,0008 -0,00487 -0,0008197
Rm
1,348685664 0,084227732 16,01 1,1E-49 1,18333 1,51404 1,183328 1,51404314
ENRG
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00160619 0,001387561 -1,158 0,24742 -0,0043 0,00112 -0,00433 0,0011179
Rm
1,880523338 0,113319332 16,59
1E-52 1,65805 2,10299 1,658053
2,102994
EXCL
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000721826 0,000895853 0,806 0,42065
-0,001 0,00248 -0,00104 0,00248058
Rm
0,728209761 0,073121598 9,959 5,4E-22 0,58466 0,87176 0,584656 0,87176347
GGRM
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000610574 0,000728978 0,838 0,40254 -0,0008 0,00204 -0,00082 0,00204172
Rm
0,886875115 0,059500844 14,91 4,6E-44 0,77006 1,00369 0,770062 1,0036883
ICBP
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000616023 0,000691008 0,891 0,37296 -0,0007 0,00197 -0,00074 0,00197262
Rm
0,775902253 0,056409456 13,75 1,9E-38 0,66516 0,88665 0,665158 0,88664611
INCO
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00110354 0,000723311 -1,526 0,12752 -0,0025 0,00032 -0,00252 0,00031645
Rm
1,363457485 0,059155339 23,05 6,5E-89 1,24732 1,47959 1,247324 1,47959079
INDF
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 9,60577E-05 0,000577849 0,166 0,86802
-0,001 0,00123 -0,00104 0,0012305
Rm
0,987386365 0,047165363 20,93 1,4E-76 0,89479 1,07998 0,89479 1,0799823
INDY
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00144731 0,000786589 -1,84 0,06618
-0,003 9,7E-05 -0,00299 9,6937E-05

Rm

1,322179652 0,064239125 20,58 1,4E-74 1,19606

1,4483 1,196064 1,44829512

INTA
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00122521 0,000897936 1,364 0,17284 -0,0005 0,00299 -0,00054 0,00298806
Rm
1,090783947 0,073248889 14,89 5,5E-44 0,94698 1,23459 0,94698 1,23458788
INTP
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -5,2215E-06 0,001029634 -0,005 0,99596
-0,002 0,00202 -0,00203 0,00201618
Rm
1,489206916 0,084041116 17,72
1E-58 1,32422 1,6542 1,324216 1,65419803
ITMG
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00033974 0,00065575 -0,518 0,60455 -0,0016 0,00095 -0,00163 0,00094764
Rm
1,208635758 0,053523805 22,58 4,9E-86 1,10356 1,31371 1,103557 1,31371471
JSMR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,001075167 0,000563422 1,908 0,05675 -3E-05 0,00218 -3,1E-05 0,00218129
Rm
0,801245521 0,045987796 17,42 4,1E-57 0,71096 0,89153 0,710961 0,89152963
KIJA
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000392976 0,001057293 0,372 0,71024 -0,0017 0,00247 -0,00168 0,00246867
Rm
1,34091784 0,086298677 15,54
3E-47 1,17149 1,51034 1,171495 1,51034104
KLBF
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,001139236 0,000697673 1,633 0,10292 -0,0002 0,00251 -0,00023 0,00250892
Rm
1,028386179 0,056945704 18,06 1,5E-60 0,91659 1,14018 0,916589 1,14018306
LPKR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000515692 0,000798716 0,646 0,51871 -0,0011 0,00208 -0,00105 0,00208375
Rm
0,8814746 0,065150834 13,53 2,3E-37 0,75357 1,00938 0,753569 1,00938024
LSIP
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -8,3475E-05 0,00072119 -0,116 0,90789 -0,0015 0,00133
-0,0015 0,00133238
Rm
1,061305276 0,05886516 18,03 2,2E-60 0,94574 1,17687 0,94574 1,17687047
MNCN

Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,002923465 0,001168922 2,501 0,0126 0,00063 0,00522 0,000629 0,00521832
Rm
1,084124455 0,095410124 11,36 1,2E-27 0,89681 1,27144 0,896813 1,27143542
PGAS
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00027427 0,000622377 -0,441 0,65958 -0,0015 0,00095
-0,0015 0,00094759
Rm
1,040156829 0,050799833 20,48 5,6E-74 0,94043 1,13989 0,940426 1,13988802
PTBA
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00076381 0,000623684 -1,225 0,2211
-0,002 0,00046 -0,00199 0,00046062
Rm
1,207779627 0,050906559 23,73 1,1E-92 1,10784 1,30772 1,107839 1,30772035
SMGR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000361518 0,000609044 0,594 0,55298 -0,0008 0,00156 -0,00083 0,0015572
Rm
1,078798485 0,049711576 21,7 5,8E-81 0,9812 1,17639 0,981204 1,17639319
TINS
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00117435 0,000720487 -1,63 0,10355 -0,0026 0,00024 -0,00259 0,00024013
Rm
1,368165793 0,058807799 23,27 5,3E-90 1,25271 1,48362 1,252713 1,48361838
TLKM
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00028488 0,000574058 -0,496 0,61986 -0,0014 0,00084 -0,00141 0,00084212
Rm
0,649951999 0,046855944 13,87 5,3E-39 0,55796 0,74194 0,557964 0,74194048
TRAM
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000830082 0,000731362 1,135 0,25676 -0,0006 0,00227 -0,00061 0,00226591
Rm
0,784380823 0,059695417 13,14 1,5E-35 0,66719 0,90158 0,667186
0,901576
UNTR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,00049004 0,00080853 -0,606 0,54465 -0,0021 0,0011 -0,00208 0,00109728
Rm
1,420937932 0,065994042 21,53 5,4E-80 1,29138 1,5505 1,291377 1,55049869
UNVR
Coefficients Standard Error t Stat P-value Lower 95%
Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,000573869 0,00110239 0,521 0,60283 -0,0016 0,00274 -0,00159 0,0027381
X Variab
1,01231 0,089979578 11,25 3,4E-27 0,83566 1,18896 0,83566 1,18895961

APPENDIX A-2
Regression of Companies Listed in PSE30
AC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00081461 0,000684751 1,19 0,2346 -0,00053 0,00216 -0,00053 0,00215891
Rm
0,12399175 0,027531568 4,504 8E-06 0,069942 0,17804 0,069942 0,17804151
AEV
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,0005268 0,000831416 0,634 0,5265 -0,00111 0,00216 -0,001105 0,00215903
Rm
0,15271392 0,033428464 4,568 6E-06 0,087087 0,21834 0,087087 0,21834042
AGI
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00100649 0,000813553 1,237 0,2164 -0,00059 0,0026 -0,000591 0,00260365
Rm
0,22205795 0,03271024 6,789 2E-11 0,157841 0,28627 0,157841 0,28627444
ALI
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,0020037 0,001551068 1,292 0,1968 -0,00104 0,00505 -0,001041 0,00504874
Rm
0,18433167 0,062365971 2,956 0,0032 0,061896 0,30677 0,061896 0,30676779
AP
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 1,6688E-06 0,000644329 0,003 0,9979 -0,00126 0,00127 -0,001263 0,00126661
Rm
0,11677725 0,02590745 4,507 8E-06 0,065916 0,16764 0,065916 0,16763845
BDO
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00064043 0,000882079 0,726 0,4682 -0,00109 0,00237 -0,001093 0,00237351
Rm
0,18702263 0,042170815 4,435 1E-05 0,104167 0,26988 0,104167 0,2698785
BEL
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00081498 0,000982658 0,829 0,4072 -0,00111 0,00274 -0,001114 0,00274413
Rm
0,16558494 0,039511106 4,191 3E-05 0,088017 0,24315 0,088017 0,24315267
BLOOM
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,0016097 0,002139909 -0,752 0,4523 -0,00582 0,0026 -0,005816 0,00259672
Rm
0,51042507 0,144927267 3,522 0,0005 0,225538 0,79531 0,225538 0,79531215
BPI
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00063039 0,000617356 1,021 0,3075 -0,00058 0,00184 -0,000582 0,00184238
Rm
0,1215864 0,024806683 4,901 1E-06 0,072886 0,17029 0,072886 0,17028669

DMC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00059744 0,000768313 0,778 0,4371 -0,00091 0,00211 -0,000911 0,00210578
Rm
0,17579085 0,030892638 5,69 2E-08 0,115143 0,23644 0,115143 0,23643891
EDC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,0002416 0,000704762 -0,343 0,7319 -0,00163 0,00114 -0,001625 0,00114201
Rm
0,11040546 0,028337352 3,896 0,0001 0,054774 0,16604 0,054774 0,16603701
FGEN
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00011053 0,000656734 0,168 0,8664 -0,00118 0,0014 -0,001179 0,00139982
Rm
0,11011834 0,026406224 4,17 3E-05 0,058278 0,16196 0,058278 0,16195873
GLO
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00116185 0,000756171 1,536 0,1248 -0,00032 0,00265 -0,000323 0,00264635
Rm
0,06130778 0,030404409 2,016 0,0441 0,001618
0,121 0,001618 0,12099735
ICT
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00128508 0,000795307 1,616 0,1066 -0,00028 0,00285 -0,000276 0,00284642
Rm
0,18208 0,031976619 5,694 2E-08 0,119304 0,24486 0,119304 0,24485625
JFC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00110941 0,000846017 1,311 0,1902 -0,00055 0,00277 -0,000551 0,0027703
Rm
0,13589297 0,034015497 3,995 7E-05 0,069114 0,20267 0,069114 0,20267193
JGS
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00089028 0,000822457 1,082 0,2794 -0,00072 0,0025 -0,000724 0,00250492
Rm
0,13359523 0,033068238 4,04 6E-05 0,068676 0,19851 0,068676 0,19851455
MBT
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00039836 0,000651995 0,611 0,5414 -0,00088 0,00168 -0,000882 0,00167835
Rm
0,15105565 0,026214527 5,762 1E-08 0,099591 0,20252 0,099591 0,20251981
MEG
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00040144 0,000829534 0,484 0,6286 -0,00123 0,00203 -0,001227 0,00202997
Rm
0,23876432 0,033352799 7,159 2E-12 0,173286 0,30424 0,173286 0,30424228
MER

Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00067012 0,000819391 0,818 0,4137 -0,00094 0,00228 -0,000939 0,00227875
Rm
0,1243022 0,032912211 3,777 0,0002 0,059689 0,18892 0,059689 0,18891549
MPI
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00048247 0,000780309 0,618 0,5366 -0,00105 0,00201 -0,001049 0,00201436
Rm
0,01623449 0,031373632 0,517
0,605 -0,04536 0,07783 -0,045358 0,07782697
MWC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00032629 0,000589238 0,554 0,5799 -0,00083 0,00148 -0,00083 0,00148307
Rm
0,0792977 0,023691284 3,347 0,0009 0,032787 0,12581 0,032787 0,12580825
PCOR
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00028038 0,00081659 0,343 0,7314 -0,00132 0,00188 -0,001323 0,00188351
Rm
0,08453348 0,032832354 2,575 0,0102 0,020077 0,14899 0,020077 0,14898971
PX
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,0005928 0,00087736 -0,676 0,4995 -0,00232 0,00113 -0,002315 0,00112967
Rm
0,15759731 0,035252391 4,471 9E-06 0,08839 0,2268 0,08839 0,22680469
RLC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00034908 0,000791102 0,441 0,6592 -0,0012 0,0019 -0,001204 0,00190217
Rm
0,19302241 0,031807568 6,068 2E-09 0,130578 0,25547 0,130578 0,25546678
SCC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00084712 0,000751167 1,128 0,2598 -0,00063 0,00232 -0,000628 0,00232181
Rm
0,11950611 0,030201935 3,957 8E-05 0,060214 0,1788 0,060214 0,17879832
SM
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00076903 0,000781444 0,984 0,3254 -0,00077 0,0023 -0,000765 0,00230316
Rm
0,16003187 0,031419254 5,093 4E-07 0,09835 0,22171 0,09835 0,22171391
SMC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept -0,0005159 0,000841763 -0,613 0,5402 -0,00217 0,00114 -0,002168 0,00113675
Rm
0,14773357 0,041242951 3,582 0,0004 0,066762 0,22871 0,066762 0,22870533
SMPH
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00083192 0,00082577 1,007
0,314 -0,00079 0,00245 -0,000789 0,00245307

Rm

0,16746636 0,033201448 5,044

6E-07 0,102286 0,23265 0,102286 0,23264719

TEL
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00011383 0,000558275 0,204 0,8385 -0,00098 0,00121 -0,000982 0,00120983
Rm
0,10139322 0,022446372 4,517 7E-06 0,057327 0,14546 0,057327 0,14545977
URC
Coefficients Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%Upper 95.0%
Intercept 0,00172306
0,0007755 2,222 0,0266 0,000201 0,00325 0,000201 0,00324551
Rm
0,0941849 0,031180255 3,021 0,0026 0,032972 0,1554 0,032972 0,15539774

APPENDIX B-1
Abnormal Return of Event Period for Indonesia
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
AALI 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
ADRO 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013

Ri
0,03804348
0,03141361
0,04973822
0,03241895
-0,0048309
0,00242718
-0,0122249
-0,0321782
0
0,01278772
0,00757576
-0,0300752
-0,0129199
0,0078534
-0,0051948
0
0,00522193
0,00519481
-0,005168
-0,012987
-0,0026316
-0,005277
Ri
-0,00625
0
0,09433962
0,00574713
0
-0,0114286
-0,0057471
0,01156069
-0,0514286
0
-0,0058824
0,01796407
-0,0118343
0,02424242
0,01851852
-0,006135
0

Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013

Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049

Beta
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
1,08224
Beta
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522
1,39522

Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484

ER
-0,00224
0,00485
0,00349
0,00916
-0,00133
-0,00831
-0,01124
-0,01528
-0,00685
0,01527
0,00054
-0,00149
-0,00707
0,01253
-0,01016
-0,00969
-0,00345
0,00064
-0,00902
0,00143
-0,00058
-0,00381
ER
-0,01677
-0,00763
-0,0095
-0,00219
-0,01572
-0,02471
-0,02848
-0,0337
-0,02283
0,00569
-0,0133
-0,01591
-0,02311
0,00216
-0,0271
-0,02649
-0,01844

AR
0,04028
0,02656
0,04625
0,02326
-0,0035
0,01074
-0,00099
-0,0169
0,00685
-0,00248
0,00703
-0,02859
-0,00585
-0,00468
0,00497
0,00969
0,00867
0,00455
0,00385
-0,01442
-0,00205
-0,00147
AR
0,01052
0,00763
0,10384
0,00793
0,01572
0,01328
0,02274
0,04526
-0,0286
-0,00569
0,00741
0,03388
0,01127
0,02209
0,04562
0,02035
0,01844

25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
AKRA 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
ANTM 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013

0,01796407
-0,0059524
0
0,01818182
0
Ri
0
0
0,01851852
0,01818182
0
-0,0357143
-0,0375
-0,0064935
0,02614379
0,02547771
-0,0186335
0,00632911
-0,0125786
0,02547771
-0,0124224
-0,0062893
-0,0063291
-0,0382166
0,01986755
0,00649351
0
0
Ri
0,01587302
0
0,0390625
0,02255639
0
-0,0147059
-0,0072464
-0,0145985
0,02222222
0,04347826
-0,0138889
-0,0140845
-0,0285714
-0,0073529
0,00740741

25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013

0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571

1,39522
1,39522
1,39522
1,39522
1,39522
Beta
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
0,99219
Beta
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526

0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484

-0,01317
-0,02563
-0,01215
-0,01474
-0,0189
ER
0,00195
0,00845
0,00723
0,01243
0,0028
-0,00359
-0,00627
-0,00998
-0,00226
0,01803
0,00453
0,00266
-0,00245
0,01551
-0,00529
-0,00486
0,00087
0,00461
-0,00424
0,00534
0,0035
0,00054
ER
-0,00702
0,00074
-0,00079
0,00543
-0,00607
-0,01371
-0,01691
-0,02134
-0,01211
0,01212
-0,00401
-0,00624
-0,01235
0,00912
-0,01574

0,03114
0,01967
0,01215
0,03293
0,0189
AR
-0,00195
-0,00845
0,01129
0,00576
-0,0028
-0,03212
-0,03123
0,00349
0,0284
0,00745
-0,02316
0,00367
-0,01013
0,00996
-0,00713
-0,00143
-0,0072
-0,04283
0,02411
0,00115
-0,0035
-0,00054
AR
0,02289
-0,00074
0,03985
0,01713
0,00607
-0,001
0,00967
0,00675
0,03434
0,03136
-0,00988
-0,00785
-0,01622
-0,01647
0,02315

22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
ASII 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
ASRI 15/01/2013
16/01/2013
17/01/2013

-0,0367647
0,01526718
-0,0150376
0,00763359
0,0530303
-0,0071942
-0,0144928
Ri
0,02027027
0,00662252
-0,0066225
0,04666667
0
-0,0127389
0,00653595
-0,0454545
-0,0068027
0,02739726
0,01333333
0,00657895
-0,0196078
0,03333333
-0,0064516
0,00649351
0,00645161
0
-0,0064103
-0,0064516
-0,012987
-0,0328947
Ri
-0,05
0,05263158
0,01666667
-0,0163934
0,05
0,07936508
-0,0147059
0
0,01492537
0,04411765
0,01408451
0
-0,0138889

22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013

-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285

1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
1,18526
Beta
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
1,29778
Beta
0,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877

0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484

-0,01522
-0,00838
-0,00391
-0,01448
-0,00304
-0,00524
-0,00878
ER
-0,01225
-0,00374
-0,00546
0,00135
-0,01124
-0,0196
-0,02311
-0,02797
-0,01786
0,00867
-0,00899
-0,01142
-0,01811
0,00539
-0,02183
-0,02126
-0,01377
-0,00887
-0,02046
-0,00792
-0,01033
-0,0142
ER
0,03467
-0,00334
-0,00504
0,00171
-0,01078
-0,01908
-0,02256
-0,02737
-0,01734
0,00898
-0,00854
-0,01096
-0,0176

-0,02155
0,02365
-0,01113
0,02212
0,05607
-0,00195
-0,00572
AR
0,03252
0,01037
-0,00117
0,04532
0,01124
0,00687
0,02965
-0,01749
0,01106
0,01873
0,02232
0,018
-0,00149
0,02795
0,01538
0,02775
0,02022
0,00887
0,01404
0,00147
-0,00265
-0,01869
AR
-0,08467
0,05597
0,02171
-0,0181
0,06078
0,09844
0,00785
0,02737
0,03227
0,03514
0,02263
0,01096
0,00371

18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
BBCA 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
BBNI 15/01/2013

0,05633803
-0,0266667
0,01369863
-0,027027
0
0
0,05555556
0,05263158
-0,0375
Ri
0
0
-0,0108696
0,00549451
0
0,00546448
-0,0054645
-0,021978
-0,005618
0,02824859
0,00549451
0
0
0,03825137
-0,0210526
0
0
0,00537634
-0,0053476
0,01612903
0
0,02116402
Ri
0
-0,0133333
-0,0066667
0
0,02013423
0
-0,0258065
-0,0198675
-0,0067568
0,01360544
0,02013423

18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013

0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418

1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
1,2877
Beta
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
1,08353
Beta
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476

0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484

0,00572
-0,02128
-0,02072
-0,01329
-0,00843
-0,01992
-0,00749
-0,00988
-0,01372
ER
-0,0023
0,0048
0,00343
0,00911
-0,00139
-0,00838
-0,01131
-0,01536
-0,00692
0,01523
0,00049
-0,00155
-0,00713
0,01249
-0,01023
-0,00976
-0,00351
0,00058
-0,00909
0,00138
-0,00064
-0,00387
ER
-0,00468
0,00276
0,00131
0,00726
-0,00375
-0,01106
-0,01413
-0,01837
-0,00953
0,01366
-0,00178

0,05062
-0,00539
0,03442
-0,01374
0,00843
0,01992
0,06304
0,06251
-0,02378
AR
0,0023
-0,0048
-0,0143
-0,00362
0,00139
0,01384
0,00584
-0,00662
0,0013
0,01302
0,00501
0,00155
0,00713
0,02576
-0,01082
0,00976
0,00351
0,00479
0,00374
0,01475
0,00064
0,02503
AR
0,00468
-0,01609
-0,00798
-0,00726
0,02388
0,01106
-0,01168
-0,0015
0,00278
-5,6E-05
0,02191

16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
12/27/2012
12/28/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
BJBR 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013

-0,0131579
-0,0066667
0,03355705
0
-0,012987
0,01315789
0,00649351
0
0
0,00645161
0,00641026
Ri
#VALUE!
#VALUE!
0,05714286
0,03603604
-0,0086957
0
-0,0175439
-0,0089286
0,00900901
0,02678571
-0,0086957
0,01754386
0,03448276
0
-0,0166667
0,00847458
0,00840336
0
0
-0,0166667
0,01694915
0
Ri
-0,0088496
0,00892857
-0,0089286
0,03603604
0,02608696
-0,0084746
-0,017094
0
-0,0173913

16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
0,00961538
0,00952381
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013

0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265

1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
1,13476
Beta
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
1,34921
Beta
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326

0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484

-0,00391
-0,00976
0,01079
-0,01301
-0,01251
-0,00596
-0,00168
-0,01181
-0,00085
-0,00296
-0,00634
ER
-0,01464
-0,0058
-0,00759
-0,00052
-0,0136
-0,0223
-0,02595
-0,03099
-0,02048
0,0071
-0,01126
-0,01379
-0,02075
0,00368
-0,02461
-0,02402
-0,01624
-0,01114
-0,02318
-0,01015
-0,01266
-0,01668
ER
0,00143
0,008
0,00677
0,01202
0,0023
-0,00417
-0,00688
-0,01063
-0,00282

-0,00925
0,00309
0,02277
0,01301
-0,00048
0,01912
0,00817
0,01181
0,00085
0,00941
0,01275
AR
#######
#######
0,06473
0,03655
0,00491
0,0223
0,0084
0,02206
0,02949
0,01969
0,00257
0,03134
0,05523
-0,00368
0,00794
0,03249
0,02464
0,01114
0,02318
-0,00651
0,02961
0,01668
AR
-0,01028
0,00092
-0,01569
0,02401
0,02379
-0,0043
-0,01021
0,01063
-0,01457

14/01/2013
BDMN 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
BBRI 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013

0,05309735
-0,0168067
0,00854701
-0,0169492
0,00862069
0,00854701
0,01694915
-0,025
0,03418803
0,00826446
0,00819672
-0,0081301
0
Ri
0
0
0,01438849
0,0212766
0,02083333
0,00680272
-0,0133333
0
0,00675676
0,02684564
-0,0168067
0,00854701
-0,0169492
0,00862069
0,00854701
0,01694915
-0,025
0,03418803
0,00826446
0,00819672
-0,0081301
0
Ri
-0,0188679
0,03846154
0,03846154
0,01851852
0
0
0

14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013

0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067

1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
1,00326
Beta
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
1,34694
Beta
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427

0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484

0,01769
0,00404
0,00215
-0,00302
0,01515
-0,00589
-0,00545
0,00034
0,00413
-0,00483
0,00486
0,00299
4,2E-06
ER
-0,01453
-0,00571
-0,0075
-0,00044
-0,0135
-0,02218
-0,02582
-0,03086
-0,02037
0,00717
-0,01116
-0,01369
-0,02063
0,00376
-0,02449
-0,0239
-0,01613
-0,01104
-0,02306
-0,01006
-0,01256
-0,01657
ER
-0,01487
-0,006
-0,0078
-0,0007
-0,01383
-0,02256
-0,02623

0,03541
-0,02084
0,00639
-0,01393
-0,00653
0,01444
0,0224
-0,02534
0,03006
0,01309
0,00334
-0,01112
-4,2E-06
AR
0,01453
0,00571
0,02189
0,02171
0,03433
0,02898
0,01249
0,03086
0,02712
0,01968
-0,00564
0,02224
0,00368
0,00486
0,03303
0,04085
-0,00887
0,04523
0,03133
0,01825
0,00443
0,01657
AR
-0,004
0,04446
0,04626
0,01922
0,01383
0,02256
0,02623

10/01/2013
11/01/2013
14/01/2013
BHIT 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
BKSL 15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013

-0,0181818
-0,037037
0
-0,0192308
0
0
0
0
0
0
-0,0196078
0
-0,01
0,03030303
-0,0294118
Ri
0,01058201
0
-0,0052356
0,02631579
0
0,07692308
0,07317073
-0,0227273
0,06976744
0,06521739
-0,0204082
0,14583333
-0,0363636
0,03773585
-0,0545455
0,01923077
-0,0188679
-0,0192308
0
0,01960784
0,01923077
-0,0377358
Ri
-0,025
0,03846154
0,05769231
-0,0060606
0,00609756

10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013
07/01/2013
09/01/2013
10/01/2013
11/01/2013
14/01/2013
15/01/2013
16/01/2013
17/01/2013
18/01/2013
21/01/2013
22/01/2013
23/01/2013
25/01/2013
28/01/2013
29/01/2013
30/01/2013
31/01/2013
Date
27/12/2012
28/12/2012
02/01/2013
03/01/2013
04/01/2013

-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245
-0,004
-0,0067
-0,01044
-0,00265
0,01779
0,00418
0,0023
-0,00285
0,01526
-0,00571
-0,00527
0,00049
0,00427
-0,00466
0,005
0,00314
0,00016
Rm
0,00158
0,00813
0,0069
0,01214
0,00245

1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
1,35427
Beta
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
1,34019
Beta
1,40464
1,40464
1,40464
1,40464
1,40464

0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
0,0484
Rf
0,04803
0,04803
0,0484
0,0484
0,0484

-0,03129
-0,02074
0,00694
-0,01149
-0,01403
-0,02101
0,00351
-0,02488
-0,02429
-0,01648
-0,01136
-0,02345
-0,01037
-0,01289
-0,01693
ER
-0,01422
-0,00544
-0,00722
-0,00019
-0,01319
-0,02183
-0,02545
-0,03046
-0,02002
0,00737
-0,01086
-0,01338
-0,02029
0,00398
-0,02412
-0,02353
-0,0158
-0,01074
-0,02271
-0,00976
-0,01225
-0,01625
ER
-0,01721
-0,00801
-0,00989
-0,00253
-0,01615

0,01311
-0,0163
-0,00694
-0,00774
0,